"There's no point believing in things that exist" - Terry Pratchett.
Belief has always come first. Humans believe in all kinds of things that don't exist, then they act as if they did exist. We seem to be hard-wired to paint agency onto the world where none exists, a tendency that has led to all manner of superstitions and religions.
A lonely shepherd searching for a lost lamb stumbles and falls down a slope, and winds up landing right next to the lamb he was seeking; this can't be just a coincidence, he thinks, and remembers the spot as special. Belief has begun. He starts going there first when he's lost a sheep, and becasue there's a convenient water source there, he keeps finding them. Other shepherds do the same. Before long, the cult of the Sheep God has started.
A silent monster stalks the darkness outside the village. People who leave the circle of safety in the night do not return. The local wise man blames the town drunk, who is driven out into the darkness. The leopard has learned that it can get an easy meal from the human village, and the wise man has learned he can get rid of troublemakers. The cult of the Leopard God has started.
The followers of a rabble-rousing mystic are bereft, wondering what to do after their leader has been executed. They comfort one another telling stories about the wonderful things he did, and was going to do. They make excuses - he has transcended the mortal plane! The Living Force needed him to return! He's not really dead, because he cannot be killed! He was struck down, and has become more powerful than you can possibly imagine! And the Cult of the Force Ghost enters a new phase.
The novel Small Gods, by Terry Pratchett, goes into a lot of detail about the growth of gods from belief. It describes 'gods' as being the tiny, unheard spirits of tiny things, like the place where two ant trails cross, or the micro-climate beneath two leaves, which are always craving human belief. With human belief, they gain power, and as they gain power they grow to become true gods. It's a fascinating metaphor for the development of religion in our world.